Financial Market Data Web Services – Xignite Blog

If stock market pundits like Franklin Templeton’s Mark Mobius are to be believed, markets are going to be just as volatile as they were in 2011. The VIX index, a popular measure of implied volatility, made multiple excursions into the 40s last year, finally ending 2011 at 23.8, up almost 32% from 2010.

Options trading strategies cater well to volatility, offering the opportunity to capitalize on market volatility as a source of investment.  That being said, most option traders typically focus on one option Greek – Delta. While Delta certainly helps in mitigating the risk of an open position, it’s important to trade Delta in conjunction with the other option Greeks – Vega, Theta, and Gamma. Each option Greek measures a different dimension of the risk in an option position.  The aim of an options trader is to manage the option Greeks so that all risks are acceptable.

In this post, I’ll provide step-by-step instructions on how to create your own real-time Excel-based option Greeks calculator with on-demand options data from Xignite’s market data cloud. This will facilitate your option trading process, by allowing you to look at all the option Greeks, side by side. Although, this is our fifth post in the series on combining the power of Xignite and Excel, it’s our first one where we describe our powerful API mash-up platform, Splice, which provides you with the flexibility to get all the data you need in a single web service call.

Creating a Composite Black-Scholes Web Service API

Options are never traded by examining the option Greeks or the underlying stock in isolation. Traders need to look at the complete picture before making a decision. The composite web service API, we will create, addresses this need. It also provides the Black-Scholes option value, which can be used as a benchmark, for your own option Greek calculations. In this example, we will mash-up the following web service operations:

• GetLastSale for the latest stock quotes
• GetEquityOption for option quotes
• GetBlackScholesOptionValue for the Black-Scholes Value

A composite web service can be created by combining any of Xignite’s web service APIs. Keep in mind; you must be logged into Splice to do the same. If you don’t have an account yet, you can just sign up for a free trial.

After you login, click on create Splice, at the top of the page.

Clicking on the create Splice feature, will take you to the Splice editor, which offers a simple drag and drop UI.

The left pane lists all the web service APIs that Xignite offers. The right pane acts as a whiteboard where the web service APIs can be mashed-up.

The next step just involves dragging any web service from the left pane to the white board and linking the inputs and outputs you require for your web service call.

In this example, we used the GetLastSale, GetEquityOption and GetBlackScholesOptionValue web service APIs.  The mash-up I created is called BS. You can access it on the Splice Studio community. You can also clone it and make modifications.

Note: For a more detailed explanation on how to create a Splice, watch this 5 minute intro video.

Importing Option Data into Excel

We covered how to import data into Excel, using web services in a previous post.  The only difference in this post is that, you are now using a composite web service API that has been created by you (Isn’t that exciting!!!).

After you have imported data from the customized Black-Scholes API, there is another piece of data you need to import to complete the option Greek calculations. One of the most important inputs in option Greeks calculations is the volatility. In this example, I calculated historical volatility based on Google’s (GOOG) one year price movements. The historical data can be accessed using Xignite’s GetHistoricalQuotesAsof web service API. It lets you specify the period type (daily, weekly, monthly, quarterly or annually) and period, so that you can set up volatility calculations based on your volatility strategies. The GetHistoricQuotesAsof web service API produces a table as shown below:

Setting up an Option Greeks Calculator

All you need to do now is, provide the inputs and set up the calculations. The formula for all the option Greeks is present in the attached Excel spreadsheet.

To the make the process more intuitive, the attached spreadsheet contains a button that updates the stock quotes and also calculates the latest option Greeks. The macro that does this is given below: Read more

Tracking multi-asset class portfolios in real-time is critical to active investors. Since many investors, particularly portfolio managers and analysts, typically spend a good part of their day in Microsoft Excel, having the capability to track multi-asset class portfolios within Excel would be a tremendous benefit.

Getting real-time pricing on multi-asset class portfolios within Excel has historically been a tedious (and often expensive) chore, requiring multiple vendors and technologies.  But with Xignite’s on-demand cloud APIs, it’s now simple and straightforward.  Even those without a programming background can be up and running in just a few minutes.

In this article, I’ll provide step by step instructions on how to create your own multi-asset class P&L tool in Excel with real-time pricing data from Xignite. All the examples in this post are available for download in this Excel spreadsheet.

This is the fourth post in our series on combining the power of Excel and Xignite.  For more info on this topic, be sure to review our posts on automating financial models, importing market data using XML and importing data using CSV.

Importing Multi-Asset Class Data into Excel

In this example, let’s suppose we hold a multi-asset class portfolio with a few stocks (ORCL, AA & T), an ORCL call option, an ORCL bond, and crude oil futures. To create a real-time multi-asset P&L tool,  we need live financial data. We’ll use the following web services APIs from Xignite to import them into Excel via XML:

• Xignite ExtendedRealQuotes for stock quotes
• Xignite RealTimeOptions for options data
• Xignite Bonds for bond data
• Xignite Futures for futures data

We covered how to import XML in a previous post, but let’s quickly review the process by pulling the stock data as an example.  We’ll start on the Web page for the GetExtendedRealQuotes operation, a Xignite Web service providing real-time stock quotes.

Once you are on the webpage, update the symbols (ORCL, AA, T) in the prompt at the top of the page, click on view in XML, and copy the URL that gets generated.  Next, open a new Excel worksheet, Read more

Ad hoc Excel financial models are employed across a wide range of applications from stock portfolio management, currency trading, loan processing, etc., but they all have one thing in common: they all need ad-hoc financial market data as the input to the analysis.

This is the third post in a series that describes how to use Xignite on-demand financial market data with Excel. The last post in the series described how to import live market data into Excel using Xignite Web Service XML output. This post will take it to the next level and explore how to create Excel financial models that not only bring in live market data over the Internet, but allow you to modify the market data requested using Excel macros to create dynamic Excel financial models. All the examples in this post are available for download in this Excel spreadsheet.

The first step is to Read more

The beauty of Xignite on-demand market data is that it can power any application from spreadsheets to major financial websites, anywhere, anytime, because it uses industry standard Web service APIs and XML data exchange formats. This is great news for Excel users, because Excel has fantastic XML support.

This is the second post in a series for Xignite customer’s using Excel that explores how to import market data into Excel using XML. The previous post in this series showed how you can import market data into Excel using a CSV file (comma separated values), the most common data exchange format for spreadsheets. As the native data format of Xignite Web services, XML allows you to go beyond the simple file import available with CSV to create direct links to Xignite Web services that allow you to update real-time market data from within Excel.

Importing Market Data into Excel from an XML File

The simplest way to get market data into Excel using XML is to import an XML file just as you would import a CSV file.  Simply go to the Web page on Xignite’s website for any Web service operation, type in the relevant input parameters, and click the “View in XML” button.  This will open a new browser tab with the Web service output in XML.  Let’s try it now on the Web page for the GetLastSales operation in XigniteBATSLastSale, an Xignite Web service providing real-time stock quotes.  Keep in mind you must be logged in to your Xignite Web services account in order to receive data.  If you don’t have an account, just sign up for a free trial.

The output should look something like the image above. The next step is Read more

It may be easier than you think to get the latest financial market data in Excel spreadsheets using Xignite.  Most of our customers use Xignite’s web services to power their custom-built applications and websites with financial market data.  But if you’re a financial analyst or a power user of Microsoft Excel, you may not want to build a new application.  What if you aren’t a programmer?  What if you just want the market data in Excel and you don’t need any other application?  In that case, all you really want is a simple way to get market data in Excel so you can perform your analytical magic without the need to hire a programmer.  In this blog post, I’ll show you a simple, easy way to do just that.

Read more

One of the most common financial applications of Xignite on-demand market data is portfolio management software.  Portfolio management software is used by a wide range of Xignite customers including asset managers, wealth managers, hedge funds, financial advisers, broker-dealers and publishers of online portfolio websites.   Each portfolio management software customer has unique requirements that vary across asset classes and update frequencies, however, the hit calculation required to select the right Xignite Web services subscription plans is essentially the same.

This is the third post in a blog series on hit calculation that will provide detailed example calculations for portfolio management software applications.  The first post and second post in this series provided a comprehensive hit calculation tutorial as well as a general hit calculation spreadsheet. The examples in this post are also available in this sample portfolio management software hit calculation spreadsheet.

Single Hit Data Block for Portfolio Management Software

Every portfolio management software application Read more

Have you ever received this error?

RegistrationError: XigniteXXXXX: Maximum number of unregistered requests exceeded. Consider registering or subscribing to expand usage. Your request was authenticated using your IP address…

For example, you might get it if you have been developing on a test server with an IP address that has been authenticated by Xignite. Then, you move your application to a different production server.  If you haven’t registered the new production server’s IP address, you will receive a message like this one when trying to use the relevant Xignite Web service.

To resolve it, all you need to do is log into your Xignite account and add the new IP address (you automatically received a login when you register for the free trial or make a purchase).  One of the key features of the My Account screen is the Manage IP address link.  This link will allow you to manage your IP addresses that are used for authentication.  In addition to logging in directly, you can also add an IP address using the XigniteHelp Web service.  This service has an operation called AddIPAddress that will allow you to add new IP addresses without logging in to your account.